Bollinger Band Reversal DCA with Budgeted Basket Exits
Summary
The document describes a mean-reversion DCA strategy that uses Bollinger Bands both to identify extreme closes and to scale entry spacing with recent volatility. It generates signals only when a closed candle crosses beyond a band, then anchors up to four planned entry layers to the current price. A preset cycle budget is divided among the layers, and contract quantity and price are adjusted to exchange market constraints; the plan is rejected if any layer fails those checks.
Filled layers are managed as one basket using the exchange’s average position price. Stops, profit targets, a middle-band exit, a trailing exit, and a maximum holding time define ways to close the basket. The document also outlines a persistent order state machine for partial fills, restarts, uncertain requests, and orders that cannot be attributed to the strategy. It provides parameter defaults and recommends evaluating per-cycle exposure, adverse movement, exit sources, and trading costs across varied market conditions. Its central limitation is that a budget cap cannot prevent losses during sustained trends, and historical band width may not reflect sudden volatility changes; fees, slippage, funding, and exchange failures also matter.
Key ideas
- Bollinger percent identifies closes beyond the outer bands, with a crossing filter to avoid repeatedly opening cycles.
- The band half-width sets volatility-scaled spacing for a fixed number of DCA layers.
- A cycle budget is set before entry and allocated across layers, limiting planned exposure.
- Filled layers are combined into one basket with explicit price and time exits.
- Persistent order tracking and conservative recovery address partial fills, restarts, and uncertain order outcomes.
- Mean reversion can fail in persistent trends, while execution costs and volatility shifts can undermine results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.